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The Heston stochastic volatility model has a boundary trace at zero volatility - MaRDI portal

The Heston stochastic volatility model has a boundary trace at zero volatility

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Publication:6337859

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DOI10.1007/S13398-022-01374-7zbMath1507.35059arXiv2004.00444MaRDI QIDQ6337859

Peter Takáč, Bénédicte Alziary

Publication date: 1 April 2020

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Initial value problems for second-order parabolic equations (35K15)

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